Numerical solution of linear and nonlinear Black-Scholes option pricing equations
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Publication:1004744
DOI10.1016/j.camwa.2008.02.010zbMath1155.65370OpenAlexW2006465918MaRDI QIDQ1004744
Enrique Navarro, Rafael Company, José-Ramón Pintos, Enrique Ponsoda
Publication date: 12 March 2009
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2008.02.010
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
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